Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0766
Annualized Std Dev 0.1886
Annualized Sharpe (Rf=0%) 0.4061

Row

Daily Return Statistics

Close
Observations 3992.0000
NAs 1.0000
Minimum -0.0934
Quartile 1 -0.0039
Median 0.0007
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0054
Maximum 0.1105
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0007
Variance 0.0001
Stdev 0.0119
Skewness -0.0901
Kurtosis 12.7030

Downside Risk

Close
Semi Deviation 0.0086
Gain Deviation 0.0087
Loss Deviation 0.0098
Downside Deviation (MAR=210%) 0.0132
Downside Deviation (Rf=0%) 0.0085
Downside Deviation (0%) 0.0085
Maximum Drawdown 0.5381
Historical VaR (95%) -0.0177
Historical ES (95%) -0.0297
Modified VaR (95%) -0.0164
Modified ES (95%) -0.0175
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-09 2013-05-15 -0.5381 1409 355 1054
2020-02-20 2020-03-23 2020-07-10 -0.3084 99 23 76
2018-09-21 2018-12-24 2019-04-23 -0.2027 146 65 81
2015-07-21 2015-08-25 2016-04-20 -0.1340 190 26 164
2020-09-03 2020-09-23 2020-12-28 -0.1144 80 14 66

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA 0.9 0 0.5 0.2 -0.4 -0.4 0.8 -0.5 1
2006 0.4 0.6 -0.4 -0.7 1.1 -0.2 -0.4 0.4 -0.1 -0.4 -0.3 -0.3 -0.3
2007 0.1 -0.2 -0.2 0.3 0.3 -0.3 0.9 0.9 1.4 -2.5 0.8 -0.8 0.8
2008 0.5 -2.5 3.7 2 0.1 0 -0.5 -1.3 0.2 0.8 -8.5 0.9 -4.7
2009 -1.9 -2.5 2.1 0.6 1.7 0.3 0.2 -2.1 -2.1 -2.8 1.1 -0.9 -6.1
2010 1 0.6 0.4 -1.4 -0.8 -0.5 -0.1 2.7 0.4 0.1 2.1 0 4.5
2011 1.8 -1.3 0.2 0.2 -1.6 1.3 -0.1 -1.1 -2.3 -2.8 -0.1 -0.4 -6.2
2012 0.8 0.5 0.3 0.6 -2.2 2.4 -0.1 0.4 0.3 0.9 0.1 1.6 5.5
2013 0.9 0.2 -0.1 -0.7 -1.5 0.5 0.9 -0.3 0.7 -0.1 0.1 0.5 1.1
2014 -0.9 0.1 0.5 -0.1 0.3 0.9 -0.4 0.1 -1.2 1 -0.7 -1.1 -1.6
2015 -1.2 -0.3 -0.6 0.8 -0.1 0.6 -0.3 -3.1 0.3 -0.8 1 -1.1 -4.7
2016 0 2.5 0.7 -0.4 -0.1 0.4 0 -0.1 0.7 -0.5 -0.5 -0.4 2.3
2017 0.4 1.4 -0.1 0.5 0.5 0.1 0.3 0.2 0.4 0.1 -0.1 -0.4 3.3
2018 0 -1.8 1.6 0.2 0.9 0 0.5 0.1 0.6 0.8 0.7 1 4.6
2019 -0.2 0.7 1.2 -0.6 -1.6 1 -0.9 -0.1 -1 0.9 -0.2 0.2 -0.7
2020 -1.6 -0.3 -3.8 -2.4 0.3 1 1.5 1.2 0.8 -1.5 1.2 0.2 -3.6
2021 1.7 2.5 -0.1 NA NA NA NA NA NA NA NA NA 4.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2005-05-10  90.6 SPY    117. -0.0104    0       -0.0126  -0.03     0.0714   0.0821   -0.177 GLD    42.6  0.0021   -0.0028
2 2005-05-11  91.1 SPY    117.  0.0055   -0.0022  -0.0123  -0.0173   0.0682   0.109    -0.173 GLD    42.7  0.00120  -0.0049
3 2005-05-12  90.3 SPY    116. -0.011    -0.0129  -0.0115  -0.0317   0.0498   0.0749   -0.192 GLD    42.2 -0.0124   -0.0175
4 2005-05-13  90.0 SPY    116. -0.002    -0.0117  -0.0004  -0.0418   0.0521   0.0499   -0.188 GLD    42.0 -0.005    -0.0134
5 2005-05-16  90.9 SPY    117.  0.00930  -0.0087   0.0232  -0.0322   0.0614   0.0638   -0.174 GLD    41.9 -0.0017   -0.0157
6 2005-05-17  91.4 SPY    118.  0.0067    0.0084   0.0269  -0.0293   0.0777   0.0654   -0.149 GLD    41.9 -0.0005   -0.0183
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart